The returns to a portfolio over the last 5 years are: Year 1 2 3 4 5 Portfolio Returns 6% 9% 3% 12% 4% The risk-free rate is 1.55% per year. Calculate the Sharpe ratio. Enter your answer as a number rather than a percentage. That is, if your answer is 0.92, then enter 0.92 rather than 92%.

The returns to a portfolio over the last 5 years are: Year 1 2 3 4 5 Portfolio Returns 6% 9% 3% 12% 4% The risk-free rate is 1.55% per year. Calculate the Sharpe ratio. Enter your answer as a number rather than a percentage. That is, if your answer is 0.92, then enter 0.92 rather than 92%.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

See similar textbooks

Related questions

Q: Coca Cola - 25.51% Pfizer - 14% CVS - 32.99% Berkshire Hathaway - 29.66%

A: In this question we will be creating portfolio with different weights of each asset to maximize the…

Q: Value of the portfolio today is $100. Annual mean μ= 20%, variance ?2=10%. Time horizon is one year.…

A: Given: Value of portfolio = $100 Mean = 20% variance = 10%

Q: You observe a portfolio for five years and determine that its average return is 12.68% and the…

A: The Z score for the prediction interval with a 95% confidence interval is 1.96. The range will…

Q: Using the information below to calculate the following monthly returns for the portfolio.…

A: Return is a rate at which investment grows in different periods.

Q: Portfolio Return Year-to-date, Company O had earned a -7.6 percent return. During the same time…

A: Portfolio Return: Portfolio return is the weighted average return of securities which constitute the…

Q: Consider that an investor has a total of £300,000 to invest. The investor invested £200,000 in asset…

A: Portfolio standard deviation formula: Value at Risk is calculated by standard deviation of…

Q: During the year just ended, Anna Schultz's portfolio, which has a beta of 0.91, earned a return of…

A: Beta = 0.91Returns = 8.4%Risk-free rate = 3.3%Return on market portfolio = 9.1%

Q: A portfolio has an expected annual return of 12.2% and a standard deviation of 18.2%. What is the…

A: Given Information: Annual expected return = 12.2% Annual standard deviation = 18.2%

Q: The risk-free rate is currently 8.4%. Use the data in the accompanying table for the Fio family's…

A: The Sharpe ratio refers to the measure of the risk-adjusted return to ascertain the compensation…

Q: 8

A: Expected return and weight: Fremont Enterprise = 15% and 30% weight Laurel Hurst = 20% and 70%…

Q: Consider a portfolio with expected annual return of 21.1% and volatility of 38%. Determine an…

A: Required:Compute the analytical Value at Risk for one month.

Q: What is the final portfolio value if you invested $250,000 into a portfolio six years ago, and which…

A: Amount invested = $250,000Year 1 return = 4.95%Year 2 return = 9.05%Year 3 return = -2.25%Year 4…

Q: Problem 1 Suppose it is the start of year 2008. You have $100,000 to invest and decide to invest in…

A: The solution requires understanding of optimal portfolio theory. It also requires use of excel…

Q: The returns to a portfolio over the last 7 years are: Year Portfolio Returns 1 3% 2 2% 3 3% 12% 4 5…

A: To calculate the Sortino ratio, we need to follow these steps:1. Calculate the average return of the…

Q: 1) When considering the investor's desired outcome, if you have generated very large returns in the…

A: Portfolio rebalancing is an portfolio manager's strategy in which they reviews the porfolio growth…

Q: Portfolio contains of two assets. Asset A has an expected return of 2% and asset B has an expected…

A: Hi There, Thanks for posting the questions. As per our Q&A guidelines, must be answered only one…

Q: Marcus has an investment portfolio that paid the rate of return of 24.75%, -11%, - 30%, 19%, 15.5%,…

A: Arithmetic average is sum of all divided by number of return. Geometric return can be calculated by…

Q: You observe a portfolio for five years and determine that its average return is 12.6% and the…

A: Average Return=12.6%Standard Deviation=19.7%Confidence level =95%Required:Low end of 95% prediction…

Q: The low end of the 95% prediction interval is %. (Enter your response as a percent rounded to one…

A: Risk and return are essential financial principles. The term “risk” refers to the uncertainty and…

Q: A portfolio's return was 15% and the standard deviation was 20%. The market return was 5% and the…

A: The M2 measure, an expanded and more practical version of the Sharpe ratio, calculates the…

Q: Chee Chew's portfolio has a beta of 126 and eamed a retum of 13.6% during the year just ended. The…

A: In the world of investments Jensen’s alpha is an important metric or a measure that is used to…

Q: Stock Price (S) = 50 Exercise Price (E) = 45 Risk-free rate (r) = 0.06 Variance (sd) =…

A: Here, Spot Price (S0) $ 50.00Exercise Price (K) $ 45.00Risk Free Rate ( r…

Q: You invest 80% of your portfolio in a risky portfolio that has an expected rate of return of 15% and…

A: Given: Weight of risky portfolio = 80% Expected return = 15% Standard deviation = 21% T bill rate =…

Q: An asset has an average return of 11.15 percent and a standard deviation of 22.89 percent. What is…

A: Maximum rate of return depends on the probability of event and standard deviation and mean expected…

Q: Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.…

A: The expected return of the company is the return of security adjusted with the volatility with…

Q: Year-to-date, Yum Brands had earned a 4.80 percent return. During the same time period, Raytheon…

A: Calculation of the portfolio return using excel is as follows:

Q: A portfolio has an expected annual return of 14.9 percent and a standard deviation of 18.5 percent.…

A: The Value at Risk is a metric which measures the extent of losses at the given level of…

Q: An asset has an average return of 10.79 percent and a standard deviation of 22.71 percent. What is…

A: Maximum rate of return depends on the probability of event and standard deviation and mean expected…

Q: The average returns on a portfolio of stocks are normally distributed. The average annual return is…

A: Mean return=8.25%Standard deviation=4.5%Given return=5.25%Calculate Z score and probability

Q: vests W0=$10000W0=$10000 on a stock. The monthly return RR follows a normal distribution with mean…

A: Value at risk is related to amount of investment that is at the risk.

Q: Suppose we want to determine the expected return and standard deviation for a portfolio of assets A…

A: The question is based on calculation of risk and return for portfolio of two different asset class.…

Q: lio for five years and determine that its average return is 11.8%and the standard deviation of its…

A: Value at risk is a metric that measures the magnitude of potential financial losses in a company,…

Q: Your portfolio returned 11.6% last year, with a beta equal to 1.6. The market return was 9.0%, and…

A: Jensen measure = Realized return - ( RF + beta * ( rm - rf ) Realized return portfolio =11.6% Beta =…

Q: The expected return on a portfolio is 14%, and that the returns have a standard deviation of 10%.…

A: Value at Risk (VaR) is the worst possible case that can happen.It is the maximum loss that may…

Q: You want to know how your portfolio in Problem 1 would perform in one year. The following table…

A: The formula for the calculation of expected portfolio return= ∑(Probability of Scenario×Return of…

Q: Jennifer's portfolio experiences the following returns over a three-year period: 12%, -5%, 8%. What…

A: The geometric average return is a way of calculating the average rate of return on an investment…

Q: You have a portfolio of three assets at the beginning of the year: Asset 1 is 30% of the portfolio,…

A: The return of portfolio for the year is

Q: You have the following data on a portfolio. You have decided to invest 11% of your money in Asset A…

A: Average return of stock A = (17 x 13%) +( 20 x 87%) = 19.61Average return of stock B = (5 x 13%) +…

Q: ou had the following rates of return for on your portfolio for the last four years: 2019: -10.1%…

A: The gain or loss realized by an investment portfolio made up of many types of investments is…

Q: at is the expected return of your portfolic

A: Expected return of the portfolio equals the summation of the individual expected returns multiplied…

Question

The returns to a portfolio over the last 5 years are:
Year
1
2
3.
4
5
Portfolio Returns
6%
9%
3%
12%
4%
The risk-free rate is 1.55% per year. Calculate the Sharpe ratio. Enter your answer
as a number rather than a percentage. That is, if your answer is 0.92, then enter
0.92 rather than 92%.

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

This is a popular solution!

SEE SOLUTION Check out a sample Q&A here

Step 1: Understanding the Sharpe ratio-

VIEW

Step 2: Calculating the Sharpe Ratio-

VIEW

Solution

VIEW

Trending now

This is a popular solution!

Step by step

Solved in 3 steps

SEE SOLUTION Check out a sample Q&A here

Knowledge Booster

Learn more about

Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.

Similar questions

You estimate that the expected return of the portfolio is 8% and that the standard deviation is 15%. If you had invested 1 million in the portfolio, what is the size of a large loss as measured by the VaR? A) -20.00% B) -16.75% C) -17.25% D) -16.31%
Bhupatbhai
Based on the table below, you invested 40% on Stock A and B and 20% on Stock Calculate the expected return on this portfolio. Year Expected rate of returns Stock A Stock B Stock C 1 0.18 0.13 0.05 2 0.17 0.12 0.10 3 0.02 0.07 0.13 4 0.12 0.09 0.16 5 0.12 0.08 0.28 Please give the full step of the calculation.
Your current portfolio is 100% invested in the market. You are considering investing some of your money in a portfolio run by Big Alpha Asset Management (BAAM). BAAM's returns have been quite good over the last five years. In order to understand by how much you could improve the Sharpe Ratio of your current portfolio by putting some of your money in BAAM, you run the following regression using past annualized returns on both the market and BAAM: RBAAM, Rft = a₁ + Bi (RM₁t - Rft) + €₁,t You estimate the following coefficients, which are all statistically significant: a=0.09; 3= 1.2 Additionally, you estimate the volatility of the residuals from the cove regression (idiosyncratic volatility) to be 0.14. In that same period the market's annualized volatility was 0.2078. Additionally, you expect the market's excess return to be 0.05 over the coming year. If you believe that the above estimates are representative of what will happen in the coming year, what is the maximum Sharpe Ratio you…
man.6
Your portfolio has provided you with returns of 8.6 percent, 14.2 percent, -3.7 percent, and 12.0 percent over the past four years. respectively. What is the geometric average return for this period? a). 7.78%b). 5.99%c). 7.54%
You are a provider of portfolio insurance and are establishing a four-year program. The portfolio you manage is currently worth $70 million, and you promise to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 6.2% per year. Assume that the portfolio pays no dividends. Required: a-1. How much of the portfolio should be sold and placed in bills? (Input the value as a positive value. Do not round intermediate calculations and round your final percentage answer to 2 decimal places.) a-2. How much of the portfolio should be sold and placed in equity? (Input the value as a positive value. Do not round intermediate calculations and round your final percentage answer to 2 decimal places.) b-1. Calculate the put delta and the amount held in bills if the stock portfolio falls by 3% on the first day of trading, before the hedge is in place? (Input the value as a positive value. Do not round intermediate calculations. Round your…
Fremont Enterprises has an expected return of 14% and Laurelhurst News has an expected return of 19%. If you put 44% of your portfolio in Laurelhurst and 56% in Fremont, what is the expected return of your portfolio? The expected return on the portfolio is \%. (Rounded to two decimal places.)
If your portfolio has provided you with returns of 9.7%, -6.2%, 12.1%, 11.5% and 13.3% over the past five years, respectively. Calculate the geometric average return of the portfolio for this period?
Use the data below to answer the following question. If you have a risk-aversion factor of 2.5 and the risk-free rate is 2%, you would invest _______% of your money in the risky portfolio. Year Return 2014 -15% 2015 -5% 2016 30% 2017 -10% 2018 35%
A manager's portfolio generated a return of 11.3% over the past year. The portfolio's beta was 1.16 and the return standard deviation was 15.7%. The market return was 9.8%, its return standard deviation was 13.4%, and the risk-free rate was 3.7%. What are the portfolio's Sharpe ratio, Treynor ratio, and Jensen's alpha?
State the return rate (in %) for your optimal portfolio.

SEE MORE QUESTIONS

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS